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GLOBAL SECURITISATION AND

TRUST SERVICES

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IM FTGENCAT SABADELL 2

COLLATERAL REPORTSeptember 2009

2. PREPAYMENT

3. DELINQUENCIES

4. GLOSSARY

1.2. Distribution Charts & Tables

CONTENTS:

1. SUMMARY OF POOL CHARACTERISTICS

1.1. Pool Characteristics

IM FTGENCAT SABADELL 2 Collateral Report

Data as of 30/09/2009

3

Lleida 5,01 % 4,27 % 0,00 % 0,00 %

Girona 5,16 % 4,46 % 1,31 % 0,00 %

Tarragona 3,95 % 4,85 % 1,59 % 0,00 %

Barcelona 85,87 % 86,42 % 97,09 % 100,00 %

Guaranty's Distribution (3)

Largest Loan Outstanding 4.999.277 4.557.038 3.925.652 1.666.531

Avg. Loan Principal Outstanding 147.145 136.827 125.899 97.004

WA Seasoning (months) 24 50 36 39

% Over Principal Outstanding 100 % 2,86 % 0,92 %

WA Maturity (months) 101 91 118 104

Principal Outstanding not due 499.999.873 416.998.327 10.983.985 3.147.661

Initial (2) Total Portfolio (1) Arrears +90 (1) DefaultsPool Characteristics

Number of Loans 3.398 3.057 95 40

Principal Outstanding 499.999.873 418.280.603 11.960.442 3.880.161

Number of Obligors 2.674 2.452 65 37

10 Largest Obligors 7,97 % 8,81 % N.A. N.A.

25 Largest Obligors 17,34 % 18,62 % N.A. N.A.

Largest Obligor 1,00 % 1,09 % N.A. N.A.

% Over Initial Portfolio (2) % Over Total Portfolio (1) % Over Portfolio in Arrears + 90 (1)

% Over Defaulted Portfolio

Obligor Concentration:

Fixed 5,96 % 6,62 % 4,22 % 1,65 %

Floating 94,04 % 93,38 % 95,78 % 98,35 %

WA Interes Rate (%) 3,74 % 3,82 % 4,00 % 4,15 %

WA Margin for Floating Rate Loans (%) 0,87 % 0,80 % 1,04 % 0,94 %

Interest Rate

Lleida 4,46 % 4,82 % 0,25 % 0,47 %

Tarragona 4,14 % 4,99 % 1,53 % 0,95 %

Girona 7,34 % 6,09 % 1,97 % 6,33 %

Barcelona 84,06 % 84,10 % 96,24 % 92,25 %

Borrower's Distribution

Preparation Of Construction Work 1,96 % 2,25 % 0,90 % 9,44 %

Other 60,87 % 58,41 % 41,92 % 10,73 %

General Real Estate Construction And Civil Engineering Work

1,47 % 0,80 % 0,00 % 5,79 %

Manufacture Of Metal Pieces For Construccion

0,95 % 1,36 % 13,17 % 0,00 %

Real Estate Renting On Its Own Behalf 12,88 % 16,05 % 0,43 % 69,14 %

Other Activities Related To Transport 1,62 % 2,85 % 32,82 % 0,00 %

Other Type Of Land Transport 6,09 % 4,95 % 1,01 % 3,14 %

Real Estate Activities On Its Own Behalf 14,15 % 13,33 % 9,75 % 1,77 %

Distribution by Industry Sector

Other Guaranties 33,67 % 24,99 % 19,59 % 30,86 %

Mortgage Guaranties 66,33 % 75,01 % 80,41 % 69,14 %

Type of Guaranty

WA LTV (3) 61,95 % 50,71 % 51,72 % 74,16 %

1. Summary of Pool Characteristics

Collateral Type: Financial leasing of properties and goods.

(1) Excluding Defaults (2) Situation of Loans on the Closing Date. (3) Only for Mortgage Guaranty


Data as of 30/09/2009

4

[2007] 0 426 4 4 0 63.107.311 579.882 1.917.399 0,00 % 15,09 % 4,85 % 49,42 %

[2003] 208 104 5 0 65.548.116 43.652.534 1.450.713 0 13,11 % 10,44 % 12,13 % 0,00 %

[2006] 692 709 25 7 62.287.046 73.487.975 3.519.050 216.217 12,46 % 17,57 % 29,42 % 5,57 %

[2005] 1.708 1.091 38 24 197.440.977 101.504.843 1.044.717 1.691.347 39,49 % 24,27 % 8,73 % 43,59 %

[2008] 0 332 5 0 0 48.031.758 4.350.958 0 0,00 % 11,48 % 36,38 % 0,00 %

[2004] 508 196 16 5 82.121.279 40.049.055 923.510 55.198 16,42 % 9,57 % 7,72 % 1,42 %

[2002] 81 56 1 0 35.161.352 18.406.654 5.575 0 7,03 % 4,40 % 0,05 % 0,00 %

[ <2002] 201 143 1 0 57.441.103 30.040.473 86.037 0 11,49 % 7,18 % 0,72 % 0,00 %

Total 3.398 3.057 95 40 499.999.873 418.280.603 11.960.442 3.880.161 100,00 % 100,00 % 100,00 % 100,00 %

Year of Origination Number Of Loans Balance (€) Balance (%)

of the Loans Initial Current Arrears +90

Default Initial Current Arrears +90 Default Initial Current Arrears +90

Default

Year of Origination of the Loans

Distribution Charts

(Distribution of each category)


Data as of 30/09/2009

5

[75.000 - 200.000] 570 413 7 4 68.475.813 51.819.111 869.955 487.890 13,70 % 12,39 % 7,27 % 12,57 %

[1.500.000 - 3.000.000] 48 37 0 1 95.315.460 73.952.765 0 1.666.531 19,06 % 17,68 % 0,00 % 42,95 %

[700.000 - 1.500.000] 81 85 2 1 84.497.187 87.320.337 2.455.556 963.245 16,90 % 20,88 % 20,53 % 24,82 %

[200.000 - 700.000] 343 330 8 0 126.434.508 122.710.832 3.030.348 0 25,29 % 29,34 % 25,34 % 0,00 %

[ >3.000.000] 12 10 1 0 44.572.019 36.161.344 3.925.652 0 8,91 % 8,65 % 32,82 % 0,00 %

[ <75.000] 2.344 2.182 77 34 80.704.886 46.316.214 1.678.932 762.495 16,14 % 11,07 % 14,04 % 19,65 %

Total 3.398 3.057 95 40 499.999.873 418.280.603 11.960.442 3.880.161 100,00 % 100,00 % 100,00 % 100,00 %

Outstanding Number Of Loans Balance (€) Balance (%)

Balance Initial Current Arrears +90


Default

Outstanding Balance



Data as of 30/09/2009

6

Top 10 39.849.567 36.858.655 7,97 % 8,81 %

Top 15 56.484.267 52.176.601 11,30 % 12,47 %

Top 20 72.341.898 65.760.404 14,47 % 15,72 %

Top 25 86.718.472 77.888.045 17,34 % 18,62 %

Top 5 22.061.861 19.748.370 4,41 % 4,72 %

Top 1 4.999.277 4.557.038 1,00 % 1,09 %

Number Balance (€) Balance (%)

of obligors Initial Current Initial Current

Obligor Concentration



Data as of 30/09/2009

7

EURIBOR 2.862 2.480 83 36 468.368.670 390.393.318 11.455.572 3.816.258 93,67 % 93,33 % 95,78 % 98,35 %

MIBOR 11 6 0 0 1.823.830 211.856 0 0 0,36 % 0,05 % 0,00 % 0,00 %

FIXED 525 571 12 4 29.807.373 27.675.429 504.870 63.903 5,96 % 6,62 % 4,22 % 1,65 %

Total 3.398 3.057 95 40 499.999.873 418.280.603 11.960.442 3.880.161 100,00 % 100,00 % 100,00 % 100,00 %

Number Of Loans Balance (€) Balance (%)

Reference Rate Initial Current Arrears +90


Default

Reference Rate

EURIBOR 3,69 % 3,73 % 3,94 % 0,87 % 0,80 % 1,04 %

MIBOR 3,68 % 4,50 % 0,00 % 1,11 % 1,35 % 0,00 %

FIXED 4,55 % 5,10 % 5,15 % - - -

Total 3,74 % 3,82 % 4,00 % 0,87 % 0,80 % 1,04 %

Reference WA Interes Rate (%) WA Margin for Floating Rate Loans (%)

Interest Rate Initial Current Arrears +90 Initial Current Arrears +90

Outstanding Balance %


Data as of 30/09/2009

8

[ 6,5 - 7 ] 43 98 8 1 1.376.027 4.463.661 333.588 45.332 0,28 % 1,07 % 2,79 % 1,17 %

[ 4 - 4,5 ] 637 377 6 4 104.045.101 62.947.958 4.036.579 1.744.897 20,81 % 15,05 % 33,75 % 44,97 %

[ 5 - 5,5 ] 167 221 5 5 8.876.930 31.669.947 368.394 253.341 1,78 % 7,57 % 3,08 % 6,53 %

[ 6 - 6,5 ] 60 162 12 5 2.205.669 30.045.476 508.720 134.415 0,44 % 7,18 % 4,25 % 3,46 %

[ 5,5 - 6 ] 141 167 3 5 6.056.634 23.107.740 434.202 117.944 1,21 % 5,52 % 3,63 % 3,04 %

[ >7 ] 34 86 5 6 1.505.564 3.064.684 44.232 146.856 0,30 % 0,73 % 0,37 % 3,78 %

[ 4,5 - 5 ] 288 237 7 3 18.214.648 26.271.554 804.761 151.219 3,64 % 6,28 % 6,73 % 3,90 %

[ <3 ] 87 1.009 31 4 25.292.863 115.631.397 2.706.243 217.560 5,06 % 27,64 % 22,63 % 5,61 %

[ 3,5 - 4 ] 1.162 402 11 4 184.399.069 55.354.768 2.413.262 54.272 36,88 % 13,23 % 20,18 % 1,40 %

[ 3 - 3,5 ] 779 298 7 3 148.027.368 65.723.418 310.461 1.014.325 29,61 % 15,71 % 2,60 % 26,14 %

Total 3.398 3.057 95 40 499.999.873 418.280.603 11.960.442 3.880.161 100,00 % 100,00 % 100,00 % 100,00 %


Interest Rate Initial Current Arrears +90


Default

Interest Rate



Data as of 30/09/2009

9

[2 - 4] 1.477 677 9 7 73.345.921 60.372.230 867.990 325.551 14,67 % 14,43 % 7,26 % 8,39 %

[10 - 12] 120 156 3 2 87.233.877 80.643.666 2.050.230 1.016.019 17,45 % 19,28 % 17,14 % 26,18 %

[8 - 10] 135 120 3 0 59.701.319 68.956.122 1.498.583 0 11,94 % 16,49 % 12,53 % 0,00 %

[4 - 8] 1.278 440 6 1 145.961.508 123.008.556 939.671 63.479 29,19 % 29,41 % 7,86 % 1,64 %

[ >12] 199 82 4 1 121.514.258 55.014.398 5.233.321 1.666.531 24,30 % 13,15 % 43,76 % 42,95 %

[ <2] 189 1.582 70 29 12.242.990 30.285.630 1.370.647 808.581 2,45 % 7,24 % 11,46 % 20,84 %

Total 3.398 3.057 95 40 499.999.873 418.280.603 11.960.442 3.880.161 100,00 % 100,00 % 100,00 % 100,00 %

W.A. Number Of Loans Balance (€) Balance (%)

Maturity (Years) Initial Current Arrears +90


Default

W.A. Maturity (Years)



Data as of 30/09/2009

10

Other Guaranties 2.739 2.313 80 37 168.367.166 104.515.099 2.343.198 1.197.611 33,67 % 24,99 % 19,59 % 30,86 %

Mortgage Guaranties 659 744 15 3 331.632.707 313.765.505 9.617.244 2.682.550 66,33 % 75,01 % 80,41 % 69,14 %

Total 3.398 3.057 95 40 499.999.873 418.280.603 11.960.442 3.880.161 100,00 % 100,00 % 100,00 % 100,00 %

Type of Number Of Loans Balance (€) Balance (%)

Guaranty Initial Current Arrears +90


Default

Type of Guaranty


Data as of 30/09/2009

11

Barcelona 2.737 2.418 87 33 420.318.740 351.784.426 11.511.324 3.579.625 84,06 % 84,10 % 96,24 % 92,25 %

Lleida 126 126 1 2 22.322.605 20.173.900 30.141 18.076 4,46 % 4,82 % 0,25 % 0,47 %

Girona 349 321 4 4 36.679.563 25.458.102 235.867 245.579 7,34 % 6,09 % 1,97 % 6,33 %

Tarragona 186 192 3 1 20.678.964 20.864.175 183.110 36.880 4,14 % 4,99 % 1,53 % 0,95 %

Total 3.398 3.057 95 40 499.999.873 418.280.603 11.960.442 3.880.161 100,00 % 100,00 % 100,00 % 100,00 %


Initial Current Arrears +90


Default



Data as of 30/09/2009

12




Data as of 30/09/2009

13

Barcelona 548 614 13 3 284.780.986 271.164.540 9.337.617 2.682.550 85,87 % 86,42 % 97,09 % 100,00 %

Lleida 26 30 0 0 16.622.501 13.408.964 0 0 5,01 % 4,27 % 0,00 % 0,00 %

Girona 47 55 1 0 17.114.022 13.978.843 126.304 0 5,16 % 4,46 % 1,31 % 0,00 %

Tarragona 38 45 1 0 13.115.198 15.213.158 153.322 0 3,95 % 4,85 % 1,59 % 0,00 %

Total 659 744 15 3 331.632.707 313.765.505 9.617.244 2.682.550 100,00 % 100,00 % 100,00 % 100,00 %


Initial Current Arrears +90


Default

Guaranty's Distribution


Data as of 30/09/2009

14

Guaranty's Distribution



Data as of 30/09/2009

15

Manufacture Of Metal Pieces For Construccion

56 62 5 0 4.756.853 5.677.550 1.575.288 0 0,95 % 1,36 % 13,17 % 0,00 %

Forging And Hammering Of Metals; Metallurgy Of Powder

30 27 0 2 5.866.011 4.051.992 0 51.127 1,17 % 0,97 % 0,00 % 1,32 %

Plastic Products 74 62 2 1 9.780.626 7.167.827 81.643 46.794 1,96 % 1,71 % 0,68 % 1,21 %

Preparation Of Construction Work

157 132 7 9 9.819.619 9.407.264 107.360 366.391 1,96 % 2,25 % 0,90 % 9,44 %

Glass Production And Glass Products

6 5 0 1 365.111 209.439 0 45.332 0,07 % 0,05 % 0,00 % 1,17 %

General Real Estate Construction And Civil Engineering Work

65 41 0 3 7.329.506 3.343.927 0 224.473 1,47 % 0,80 % 0,00 % 5,79 %

Finishing Of Textiles 14 9 0 1 1.761.912 780.540 0 33.212 0,35 % 0,19 % 0,00 % 0,86 %

Manufacture Of Parts, Pieces And Non-Electric Accessories For Motor Vehicles And Their Engines

29 19 16 0 2.149.757 520.248 415.441 0 0,43 % 0,12 % 3,47 % 0,00 %

Manufacture Of Machine Tool

6 10 1 0 678.427 873.909 269.179 0 0,14 % 0,21 % 2,25 % 0,00 %

Quarrying Of Stone 20 16 2 0 1.535.031 1.870.816 399.033 0 0,31 % 0,45 % 3,34 % 0,00 %

Manufacture Of Diverse Machinery For Specific Use

11 16 1 0 869.459 1.659.659 404.860 0 0,17 % 0,40 % 3,38 % 0,00 %

Real Estate Activities On Its Own Behalf

176 168 5 3 70.768.561 55.738.754 1.165.736 68.497 14,15 % 13,33 % 9,75 % 1,77 %

Other Type Of Land Transport

365 358 12 6 30.455.677 20.714.558 120.625 121.880 6,09 % 4,95 % 1,01 % 3,14 %

Real Estate Renting On Its Own Behalf

123 159 2 3 64.408.043 67.126.815 52.021 2.682.550 12,88 % 16,05 % 0,43 % 69,14 %

Other Retail Sale Of New Items In Specialized Establishment

84 76 3 1 14.200.400 8.272.349 1.142.860 115.555 2,84 % 1,98 % 9,56 % 2,98 %

Other 1.779 1.544 31 9 193.615.781 151.929.755 1.298.896 105.474 38,72 % 36,32 % 10,86 % 2,72 %

Wholesale Of Machinery And Equipment

73 64 1 0 17.741.544 17.268.499 41.995 0 3,55 % 4,13 % 0,35 % 0,00 %

Other Wholesale 66 55 2 0 6.967.070 10.205.937 350.144 0 1,39 % 2,44 % 2,93 % 0,00 %

Wholesale Of Consumer Goods, Different Than Foodstuffs

49 31 0 1 14.915.023 9.439.520 0 18.875 2,98 % 2,26 % 0,00 % 0,49 %

Other Activities Related To Transport

34 28 1 0 8.101.224 11.936.011 3.925.652 0 1,62 % 2,85 % 32,82 % 0,00 %

Legal And Accounting Activities, Book-Keeping, Auditing, Fiscal Consultancy, Market Reserch And Opinion Poll Making; Business Managment Consultancy, Company Managment

82 86 0 0 19.251.775 15.595.312 0 0 3,85 % 3,73 % 0,00 % 0,00 %

Grafic Art And Related Activities

99 89 4 0 14.662.465 14.489.922 609.710 0 2,93 % 3,46 % 5,10 % 0,00 %

Total 3.398 3.057 95 40 499.999.873 418.280.603 11.960.442 3.880.161 100,00 % 100,00 % 100,00 % 100,00 %


Industry Sector Initial Current Arrears +90


Default

Industry Sector


Data as of 30/09/2009

16



Data as of 30/09/2009

17

[75 - 80] 46 15 0 1 34.510.101 12.257.297 0 963.245 10,41 % 3,91 % 0,00 % 35,91 %

[60 - 70] 141 111 5 0 82.936.822 64.089.601 1.943.918 0 25,01 % 20,43 % 20,21 % 0,00 %

[70 - 75] 59 25 1 1 35.725.739 17.588.363 330.704 1.666.531 10,77 % 5,61 % 3,44 % 62,12 %

[40 - 50] 94 154 2 0 37.685.493 61.124.715 4.269.060 0 11,36 % 19,48 % 44,39 % 0,00 %

[50 - 60] 120 127 4 0 49.264.850 65.784.640 1.480.318 0 14,86 % 20,97 % 15,39 % 0,00 %

[ >80] 65 16 0 0 51.626.136 13.325.327 0 0 15,57 % 4,25 % 0,00 % 0,00 %

[ <40] 134 296 3 1 39.883.565 79.595.563 1.593.243 52.774 12,03 % 25,37 % 16,57 % 1,97 %

Total 659 744 15 3 331.632.707 313.765.505 9.617.244 2.682.550 100,00 % 100,00 % 100,00 % 100,00 %


W.A. LTV Initial Current Arrears +90


Default

W.A. LTV

WA LTV 61,95 % 50,71 % 51,72 % 74,16 %

W.A. LTV Initial Current Arrears +90 Default



Data as of 30/09/2009

18

2. Prepayment

200905 1,70 1,68 1,87 2,93 1,99

200904 1,87 2,07 1,61 2,79 1,97

200903 1,40 1,49 1,42 2,67 1,95

200908 7,96 6,80 4,32 3,50 2,47

200907 7,26 4,69 3,44 2,83 2,28

200906 4,90 2,86 2,22 3,07 2,11

200909 9,43 8,36 5,73 3,67 2,70

200810 0,86 3,13 4,03 2,63 2,09

200902 2,85 1,96 2,44 2,55 1,94

200811 0,29 3,10 4,05 2,67 2,06

200901 0,16 1,09 2,02 2,30 1,87

200812 2,77 1,28 3,58 2,45 1,90

Prepayment Rates (Last 12 Month)

Date Monthly Quarterly Semiannual Annual Life


Data as of 30/09/2009

19

3. Arrears and Defaults

200904 60 1,36 % 19 0,12% 0,11%

200903 64 1,08 % 14 0,07% 0,07%

200909 95 2,86 % 40 0,92% 0,78%

200905 75 1,68 % 22 0,18% 0,17%

200908 99 3,66 % 31 0,24% 0,21%

200907 95 3,13 % 27 0,22% 0,19%

200906 87 1,92 % 26 0,20% 0,18%

200810 24 0,19 % 7 0,03% 0,03%

200902 57 1,06 % 12 0,06% 0,06%

200811 33 0,65 % 5 0,02% 0,01%

200901 43 1,15 % 14 0,06% 0,06%

200812 36 0,52 % 10 0,06% 0,05%

Arrears and Defaults (Last 12 Month)

Date

Num. % Num. % Outstanding % Initial

>3 and <12 mth Defaults

Arrears percentage is calculated as Principal Outstanding of loans in arrears over Principal Outstanding of the total portfolio excluding Defaults.

Outstanding percentage of defaults is calculated as Principal Outstanding of Defaults over Principal Outstanding of the total portfolio including Defaults.

Initial percentage of defaults is calculated as Principal Outstanding of Defaults over total initial balance on the Closing Date.


Data as of 30/09/2009

20

4. Glossary

EUR12: Rate published by the European Banking Federation for 1-year Euro deposit transactions.

MIB12: Madrid Interbank Offered Rate for 1-year deposit transactions.

Interest Rate Indexes

Type of guaranty: Mortgage guaranty/other guaranties.

LTV: Weighed average loan to value of loans with mortgage guaranty. Appraisal values, in general, correspond to the date of the loan origination and are not updated.

EURH: Monthly EUR12 average published by the Bank of Spain, paragraph 19,1 of the statistical bulletin,Mortgage Market Official Reference Rates.

For further information on interest rate indexes please visit Bank of Spain website

http://www.bde.es/tipos/tipose.htm

IRPHC: Monthly average rate for mortgage loans over 3 years to purchase free housing from Cajas de Ahorros, published by the Bank of Spain, paragraph 19,1 of the statistical bulletin, Mortgage Market Official Reference Rates.

MIBH: Monthly MIB12 average published by the Bank of Spain, paragraph 19,1 of the statistical bulletin, Mortgage Market Official Reference Rates.

IRPHCE: Monthly average rate for mortgage loans over 3 years to purchase free housing from Banks, Cajas de Ahorros and Mortgage Lending Companies, published by the Bank of Spain, paragraph 19,1 of the statistical bulletin, Mortgage Market Official Reference Rates.

IRPHB: Monthly average rate for mortgage loans over 3 years to purchase free housing from Banks, published by the Bank of Spain, paragraph 19,1 of the statistical bulletin, Mortgage Market Official Reference Rates.

Defaults: Definition may vary according to each Fondo, see prospectus for precise definition. In general, after a certain number of months in arrears plus those loans that, according to the originator/servicer, present reasonable doubts that they will be fully reimbursed. When the loans are classified as defaults, a write off mechanism is activated amortizing bonds in an amount equal to the defaulted loans. Proceeds from defaulted loans enter the payment waterfall but these loans, either partially or fully recovered, keep their default status for the life of the Fondo. Therefore, once a loan is classified as default, it keeps the same status until fully reimbursed, even if unpaid amounts are recovered and the loan pays regular instalments again. Current percentage of defaults is calculated as Principal Outstanding of Defaults over Principal Outstanding of the total portfolio including Defaults.

Principal outstanding: Outstanding balance of the loan, including unpaid due principal amounts.

Outstanding Balance: See principal outstanding.

Arrears +90: Loans in arrears more than 90 days, defaulted loans excluded. Arrears percentage is calculated as Principal Outstanding of loans in arrears over Principal Outstanding of the total portfolio excluding Defaults.

Industry concentration: Grouped by CNAE ( Clasificación Nacional de Actividades Económicas). Categories showed are the top categories of each portfolio. For more information on the clasification visit www.ine.es.

Total portfolio: Outstanding loans (defaulted loans excluded).

Balance: See principal outstanding.

WA interest rate: Average interest rate of the loans weighed by principal outstanding.

WA margin for floating rate loans: Average margin over the corresponding interest rate index of reference weighed by principal outstanding. Please note that several interest index may coexist in the same portfolio and margins may vary according to de index. (i.e. margin on loans indexed to Euribor is usually higher than margin of loans indexed to IRPH).

Regional concentration: Grouped by Comunidad Autónoma or Province.

WA remaining life: Average remaining maturity of the loans weighed by principal outstanding and expressed in months.

Principal outstanding not due: Outstanding balance, excluding unpaid due principal amounts.

Obligor concentrations: Sum of principal outstanding of all de loans of the same debtor over total portfolio. Obligor concentration in arrears and defaults are calculated using loans of the same obligor that are in arrears or defaulted. Both conditions have to be met, so if a debtor has one loan paying regularly and another in default, only the defaulted loan will be taken into account to calculate the ratio.

WA seasoning: Average seasoning of the loans weighed by principal outstanding and expressed in months.

Notes and Definitions


Data as of 30/09/2009

21

….. and so on.

4 months: >90 – <=120 Days in Arrears


Current percentage of defaults is calculated as Principal Outstanding of Defaults over Principal Outstanding of the total portfolio including Defaults.

Arrears percentage is calculated as Principal Outstanding of loans in arrears over Principal Outstanding of the total portfolio excluding Defaults.

Loans are considered delinquent when they have any unpaid interest or principal amounts, since the day the payment was due, even if this means only one day in arrears.

Arrears and Defaults

Loans in arrears are grouped in monthly buckets as follows:


1 month: 0 – <=30 Days in Arrears

Where:

1-(1-(PPA / (PPA+OB))) ^ (1/days/365))

Life prepayment rate: Calculated using actual / 365 from Closing Date:

Days: number of days from Closing Date until the end of the current month.

OB: Outstanding balance not due at the end of the current month.

PPA: Cumulative prepaid amount since Closing Date.

OB: Outstanding balance not due at the end of the period.

Prepayment Rate: Prepayment rates are calculated using the following formula:

Formulas

(1-(1-(PPA)/(PPA+OB)))^(12/N))*100

PPA: Prepaid amount of the period.

N: number of months of the period.

Where:

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